Analytic approximation to constant maturity swap convexity correction in a multi-factor SABR model

B Chen, CW Oosterlee, S. van Weeren

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)
Original languageEnglish
Pages (from-to)1019-1046
Number of pages28
JournalInternational Journal of Theoretical and Applied Finance
Volume13
Issue number7
DOIs
Publication statusPublished - 2010

Keywords

  • academic journal papers
  • Vakpubl., Overig wet. > 3 pag

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